So, based on @B00MER's answer we've accomplish our objective, despite some little troubles.
First, adding downloadable products to bundled/grouped products was being our main problem, because the downloadable products weren't appearing in the Associated Products list.
Most of the links just tell you to set 'Links can be sold separately' to 'No' for the downloadable product. After some research we found that any product attribute set that have any kind of required attribute can't be added to a bundle/grouped product. What we did:
1) Create a product attribute set with no required attributes.
All downloadable associated products must be in this attribute set.
2) Create the downloadable products that you want with the attribute set created before. Fill the forms and go to Downloadable Information. Here, you MUST set Links can be purchased separately to NO.
3) Create a bundle/grouped product with the attribute set created before (step 1). (In our case, we created a grouped product). I suggest using the same attribute set that you created before. Then go to Associated Products tab and the downloadable products created before should be on the list. I selected 3 downloadable products and set Default Qty to 1.
If you followed these steps until now, you should see a grouped product with the downloadable related products.
Then, we built a little module to apply the audio player and the links to related products to a given category. We managed the full album discount with cart rules, and we can sell each track individually. We also hide the qty box, because the default was set to 1 and Maximum Qty Allowed in Shopping Cart is also set to 1.
Our test result is:
Ps.: https://kolber.github.io/audiojs/ isn't responsive, so do consider using another library or create your own.